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Tail risks, firm characteristics, and stock returns

Wang, Chen; Xiong, Xiong; Shen, Dehua - In: Pacific-Basin finance journal 75 (2022), pp. 1-17

Persistent link: https://www.econbiz.de/10013552558

An aspirational perspective on the negative risk-return relationship

Bakó, Barna; Neszveda, Gábor - In: Finance research letters 61 (2024), pp. 1-7

Persistent link: https://www.econbiz.de/10014490692

A theoretical assessment on optimal asset allocations in insurance industry

Jarraya, Bilel; Bouri, Abdelfettah - In: International journal of finance & banking studies : JJFBS 2 (2013) 4, pp. 30-44

Persistent link: https://www.econbiz.de/10010532785

Risk and performance evaluation with skewness and kurtosis for conventional and alternative investments

Berényi, Zsolt Endre - 2003

Persistent link: https://www.econbiz.de/10001754325

Shortfall-Risk-basierte Portfolio-Strategien : Grundlagen, Anwendungen, Algorithmen

Kaduff, Jochen Volker - 1996

Persistent link: https://www.econbiz.de/10013418025

Remarks on a copula-based conditional value at risk for the portfolio problem

Molina Barreto, Andres Mauricio; Ishimura, Naoyuki - In: Intelligent systems in accounting, finance & management 30 (2023) 3, pp. 150-170

Persistent link: https://www.econbiz.de/10014375330

Cooperative game with nondeterministic returns

Yang, Jian; Li, Jianbin - In: Journal of mathematical economics 88 (2020), pp. 123-140

Persistent link: https://www.econbiz.de/10012589932

CAViaR : conditional autoregressive value at risk by regression quantiles

Engle, Robert F.; Manganelli, Simone - 1999

Persistent link: https://www.econbiz.de/10001441337

CAViaR: conditional autoregressive value at risk by regression quantiles

Engle, Robert F.; Manganelli, Simone - In: Journal of business & economic statistics : JBES ; a … 22 (2004) 4, pp. 367-381

Persistent link: https://www.econbiz.de/10002372839

Risk Measures and Investment Performance Prediction

Haidar, Haidar; Minsky, Bernard; Tang, Qi - 2012

This paper studies a basket of risk statistics that are widely used to measure investment performance. Those risk … statistics were used to rank the performance of the assets. The dependent information was removed from the set of risk measures … that were used in the test. The risk statistics were standardized and linearly transformed into a new set of factors where …

Persistent link: https://www.econbiz.de/10014177190